Approximate Bayesian computation (ABC) is a
\npowerful and elegant framework for performing
\ninference in simulation-based models. However,
\ndue to the difficulty in scaling likelihood estimates,
\nABC remains useful for relatively lowdimensional
\nproblems. We introduce Hamiltonian
\nABC (HABC), a set of likelihood-free
\nalgorithms that apply recent advances in scaling
\nBayesian learning using Hamiltonian Monte
\nCarlo (HMC) and stochastic gradients. We find
\nthat a small number forward simulations can effectively
\napproximate the ABC gradient, allowing
\nHamiltonian dynamics to efficiently traverse
\nparameter spaces. We also describe a new simple
\nyet general approach of incorporating random
\nseeds into the state of the Markov chain, further
\nreducing the random walk behavior of HABC.
\nWe demonstrate HABC on several typical ABC
\nproblems, and show that HABC samples comparably
\nto regular Bayesian inference using true
\ngradients on a high-dimensional problem from
\nmachine learning.<\/p>\n","protected":false},"excerpt":{"rendered":"
Approximate Bayesian computation (ABC) is a powerful and elegant framework for performing inference in simulation-based models. However, due to the difficulty in scaling likelihood estimates, ABC remains useful for relatively lowdimensional problems. We introduce Hamiltonian ABC (HABC), a set of likelihood-free algorithms that apply recent advances in scaling Bayesian learning using Hamiltonian Monte Carlo (HMC) […]<\/p>\n","protected":false},"featured_media":0,"template":"","meta":{"msr-url-field":"","msr-podcast-episode":"","msrModifiedDate":"","msrModifiedDateEnabled":false,"ep_exclude_from_search":false,"footnotes":""},"msr-content-type":[3],"msr-research-highlight":[],"research-area":[13556],"msr-publication-type":[193716],"msr-product-type":[],"msr-focus-area":[],"msr-platform":[],"msr-download-source":[],"msr-locale":[268875],"msr-field-of-study":[],"msr-conference":[],"msr-journal":[],"msr-impact-theme":[],"msr-pillar":[],"class_list":["post-443808","msr-research-item","type-msr-research-item","status-publish","hentry","msr-research-area-artificial-intelligence","msr-locale-en_us"],"msr_publishername":"","msr_edition":"Uncertainty in Artificial Intelligence 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